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Capital Requirement for Operational Risk Modeling
 Poláchová, Kateřina ; Orsáková, Martina (advisor) ; Hanzák, Tomáš (referee)
Operational risk is one of important concepts in financial institutions. It needs to be managed, measured and minimized. Bank has to hold capital requirements to cover potential losses from this risk. The aim of this work is to find, describe and apply a model determining how much capital is needed. This work is dedicated to Loss Distribution Approach based on modelling severity and frequency of losses separately for each business line and operational risk event type. With help of Monte Carlo method we can obtain total loss model by aggregating specific distribution functions. Resulting capital requirement is the sum of partial capital requirements of business line/event type that are 99,9% VaR of total loss. Keywords: Operational Risk, Loss Distribution Approach, Extreme Value Theory, Monte Carlo Simulation, Value-at-Risk
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